Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0385 |
| Annualized Std Dev | 0.2248 |
| Annualized Sharpe (Rf=0%) | 0.1712 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4022.0000 |
| NAs | 1.0000 |
| Minimum | -0.1357 |
| Quartile 1 | -0.0064 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1495 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.1842 |
| Kurtosis | 11.1430 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.4461 |
| Historical VaR (95%) | -0.0214 |
| Historical ES (95%) | -0.0333 |
| Modified VaR (95%) | -0.0206 |
| Modified ES (95%) | -0.0302 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-01-15 | 2008-11-20 | 2011-05-31 | -0.4461 | 851 | 217 | 634 |
| 2015-08-18 | 2020-03-23 | 2020-12-16 | -0.4162 | 1344 | 1157 | 187 |
| 2011-07-01 | 2011-10-04 | 2012-12-18 | -0.2247 | 369 | 66 | 303 |
| 2006-03-13 | 2006-06-13 | 2006-10-23 | -0.1576 | 157 | 65 | 92 |
| 2014-12-01 | 2015-02-19 | 2015-07-22 | -0.1482 | 161 | 55 | 106 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | 0 | -0.8 | 0.5 | 1 | -1.6 | 0.3 | 1.1 | 2.6 | 1.9 | -2.6 | 2.2 |
| 2006 | 0 | -0.7 | 0 | 0.1 | 2.2 | -0.5 | 0.1 | 0.8 | -0.1 | -0.2 | -1.5 | 0.3 | 0.3 |
| 2007 | 0.2 | -2.4 | 1.1 | -0.7 | 0.4 | -0.9 | 0.7 | 0.6 | 1.3 | -1.7 | 0.7 | 0.3 | -0.4 |
| 2008 | 0.1 | -1.6 | 3 | 4.6 | 0.3 | 2.4 | -0.3 | -2.1 | -1.3 | 0.1 | -0.7 | 3.5 | 7.9 |
| 2009 | -1 | -4.6 | 1.2 | -0.3 | 1.6 | 2.3 | -0.3 | -2 | -0.5 | -1.9 | 0.7 | 2 | -2.9 |
| 2010 | 0.7 | 0.9 | 2.2 | 0 | 0.1 | -0.3 | 0.5 | 1.6 | 0.6 | 0.1 | 1.4 | 1 | 9.1 |
| 2011 | 1.1 | -1 | 0.9 | -0.4 | -1.1 | -0.7 | -2 | -1.3 | -1.2 | -0.3 | 0 | 0.3 | -5.7 |
| 2012 | 0.9 | -0.2 | 0.8 | -0.5 | -0.8 | 3.4 | 0.2 | 0.2 | 0.2 | 1.1 | -1.3 | 1.9 | 6.1 |
| 2013 | -0.6 | 2 | -0.1 | -1.1 | -0.7 | 0.8 | 0.4 | 0.4 | 2 | 0.2 | -0.2 | 2.2 | 5.3 |
| 2014 | -0.3 | -0.9 | 2.4 | 0 | -0.8 | 0 | -0.5 | 1.1 | -1.6 | 3.3 | -3.4 | -0.6 | -1.4 |
| 2015 | 0.3 | -0.4 | -1.6 | -0.1 | -0.1 | 1.2 | 0.7 | 0.6 | 5.2 | 0.4 | 0.6 | 0.8 | 8 |
| 2016 | -0.4 | 1.1 | 1.4 | -0.8 | -3 | 0.7 | 0.4 | -0.8 | 0.4 | -3.2 | 2 | 0.1 | -2.4 |
| 2017 | -0.2 | 1.1 | 0 | 0.5 | 1.1 | 0.3 | 1.5 | 0.6 | 0.8 | 0.2 | -0.1 | 1 | 6.9 |
| 2018 | -0.6 | -0.7 | 0.8 | 0.2 | 0.6 | -0.1 | 0 | 0.6 | 1.5 | 0.7 | 1.5 | 1.6 | 6.1 |
| 2019 | 1.6 | 2.2 | 0.8 | 1.5 | -0.6 | 0.2 | 0.6 | -0.1 | -0.8 | 2 | 0.2 | 1.3 | 9.2 |
| 2020 | -1.9 | -2.2 | -6.7 | -0.4 | 1.2 | 1.5 | -0.5 | 0.2 | 0.2 | 0 | 2.5 | -0.9 | -7.1 |
| 2021 | 1.3 | 4.7 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
